Explainable Machine Learning in Credit Risk Management
Abstract The paper proposes an explainable Artificial Intelligence model that can be used in credit risk management and, in particular, in measuring the risks that arise when credit is borrowed employing peer to peer lending platforms. The model applies correlation networks to Shapley values so that Artificial Intelligence predictions are grouped according to the similarity in the underlying explanations. The empirical analysis of 15,000 small and medium companies asking for credit reveals that
OpenAlex
2135d ago
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